You really should buy a Media Card first. Your phone is a very good phone but it does not have a great deal of spare memoery.
The best thing to do is to buy yourself a microSDHC card (there's a link in my signature that will explainn the technicalities) and then install Desktop Manager that came on the CD with your phone. This is an essential step to do what I will describe in the next paragraph.
Once you have the card, you can set your camera to store its pictures on the card and to copy music and pics to and from your PC.
With the Media Card installed, goto Options, Media Card and set
Media Card Support: On
Encryption Mode: None - unless you are paranoid
Mass Storage Mode Support: On
Auto Enable Mass Storage Mode When Connected: Prompt
Now when you connect your phone to the PC (provided DM is installed). The phone will prompt you to enable Mass Storage Mode. Select Yes and the Media Card will show up in My Computer as a new disk and then you can Drag 'n Drop your files to the correct places on the Media Card.
Desktop Manager must be installed on your PC and should be able to display your PIN number at bottom left of the DM panel when the phone is connected. This test confirms good working of the USB interface with the phone.
Desktop Manager MUST NOT be running for Mass Storage Mode to work or to be used.